Author(s)

Pedro Raffy Vartanian¹, Henrique Farias dos Santos¹, Wesley Mendes da Silva², Mauricio Fronzaglia¹

¹Mackenzie Presbyterian University, São Paulo, Brazil.
²FGV, São Paulo, Brazil.

Numerous studies have sought to investigate the relationship between macroeconomic variables and financial market evolution. Such analyses, however, have focused on the stock market. The present research, as a distinction, included the index of real estate funds (IFIX) in its approach. In this context, the study comparatively analyzed the impact of macroeconomic indicators (interest rates, inflation, industrial production, and the exchange rate) and financial indicators (the S&P 500 and the oil price) on the Ibovespa and the IFIX from January 2015 to December 2019. This period was chosen due to the peculiar characteristics of the resumption of economic growth after the 2014-2016 recession in the context of changes in the degree of intervention in the economy. The research addressed the historical evolution of stock and real estate fund indices, such as the Ibovespa and the IFIX, respectively, which showed a positive trajectory, especially from 2016 onward. To achieve its objective, the research applied the vector with error correction (VEC) econometric model to determine whether there is a possibility of diversification between the two markets. Among the results obtained were relatively convergent behavior of the Ibovespa and the IFIX in the face of macroeconomic and financial shocks, according to the impulse response functions of the estimated econometric model, which prevents diversification between the two markets.

Financial Market, Stock Market, Real Estate Market, Macroeconomic, Ibovespa, IFIX

Vartanian, P. , dos Santos, H. , Mendes da Silva, W. and Fronzaglia, M. (2022) Macroeconomic and Financial Variables’ Influence on Brazilian Stock and Real Estate Markets: A Comparative Analysis in the Period from 2015 to 2019. Modern Economy, 13, 747-769. doi: 10.4236/me.2022.135040.